What drove the massive hoarding of international reserves in emerging countries? A time varying approach

Abstract : The existing empirical models fail to explain the surge in the foreign exchange reserves accumulation by emerging countries during the last decade. In this paper we estimate the demand for international reserves on a panel of emerging countries with a Time-Varying Panel Smooth Threshold Regression model (TV-PSTR) to relax the assumption of coefficients stability in the relationship. First, we find evidence of non-constancy of the parameters. Second, the coefficients are relatively stable until 2000 and have increased gradually and strongly afterwards. Therefore our specification accounts for the acceleration that the linear specifications fail to explain. Third, we find that the mercantilist motives are the major driver of this acceleration.
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Communication dans un congrès
Royal Economic Society Annual Conference, Apr 2011, Londres, United Kingdom
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https://hal-rbs.archives-ouvertes.fr/hal-00734893
Contributeur : Sandrine Palmer <>
Soumis le : lundi 24 septembre 2012 - 17:32:42
Dernière modification le : lundi 24 septembre 2012 - 17:32:42

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  • HAL Id : hal-00734893, version 1

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Anne-Laure Delatte, Julien Fouquau. What drove the massive hoarding of international reserves in emerging countries? A time varying approach. Royal Economic Society Annual Conference, Apr 2011, Londres, United Kingdom. 〈hal-00734893〉

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